World of Warcraft. Playing is easy but getting the most out of your character - balancing and maximising your stats, knowing when to trade off X points of this for Y points of that and how they will affect you, knowing what skills and abilities to use when, how long each will last, when to refresh and when not to, nailing your rotations, knowing where to stand and when to move, even the simple act of mashing your rotation buttons while moving out of the way of attacks or scenery and staying out of the fire - is quite a challenge when you're all thumbs like I am. And that's all before you've started learning about the techniques for combat in PvE and PvP - what attacks to use and when, how to defend, how to avoid etc.
I play a rogue and I've quadrupled my DPS since I started learning about all of this stuff and it's still nowhere near what it should be so there is a good deal more to learn.